I am new to NT and would like to run the following strategy.
For each instrument from an instrument list,
For every 250 days,
Optimize the parameters for an indicator, e.g. SMA cross over
based on the last 250 days of data
Trade for the next 250 days based on the optimized set of
parameters
Store the daily PnL
Next 250 days
Next instrument
Load Daily PnL and Position (i.e. whether I am long or short)
Is something like this possible? Or supported? My issue is that i have 20 years of data for 80 instruments. If i do not code this up, I will have to do it manually for 1600 times.
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